The unconditional test statistic is sensitive to both the severity of the VaR failures relative to the ES estimate, and also to the number of VaR failures (how many times the VaR is violated). Therefore, a single but very large VaR failure relative to the ES (or only very few large losses) may cause the rejection of a model in a particular time window. A large loss on a day when the ES estimate is also large may not impact the test results as much as a large loss when the ES is smaller. And a model can also be rejected in periods with many VaR failures, even if all the VaR violations are relatively small and only slightly higher than the VaR. Both situations are illustrated in this example.